That's a know bug already and our developers are working on fixing it. If you'd like, you can try 2.5.1, now in public alpha. It has additional improvements for authentication and see if that fixes your issue. You can download it here.

I did several times a Fetch and I had to type password again and again.

By the way, is there any reason why, in software preferences, I cannot create an account for my own gitlab server, only on github or bitbucket ? With a config on my own server, I could at lease set my ssh key !